The former Nottingham Forest striker dusted himself down after being fouled in the penalty area by Ian Roper three minutes after the interval to rifle home his spot kick and the only goal of the game.
It was Lester's 15th goal of the season but more importantly halted a miserable sequence of four defeats in United's last five matches to put them back in the promotion picture.
Walsall player-boss Paul Merson huffed and puffed in his battle to preserve the Saddlers Division One status, but it was Blades midfielder Michael Tonge who provided the rare glimpses of quality in a stop-start, nervous encounter.
Tonge carved out the game's first two chances with trademark long-range efforts that flew over the crossbar.
On-loan Jermaine McSporran responded for the Saddlers with a wayward drive in the 18th minute but the opening quarter was a messy affair with neither side mustering a clear-cut chance on goal.
In-form Andy Gray was first to test either keeper, his header from Rob Kozluk's cross bringing the best out of Walsall's James Walker.
Walker then held Tonge's 20-yard free-kick as United stepped it up and denied the same player in identical fashion again moments later when the United midfielder drilled a shot in left-footed.
United made the all-important breakthrough three minutes after the interval when Roper brought down Lester in the penalty area and referee Mark Clattenburg did not hesitate in pointing to the spot.
Lester blasted home the spot-kick to the relief of the travelling fans, prompting Walsall to replace McSporran with Lee Bradbury in a tactical switch.
The Saddlers then withdrew Kris Taylor in favour of Darren Wrack but the visitors had already begun to dominate possession without testing home keeper Walker.
Substitute Bradbury headed over from Darren Bazeley's cross in a rare foray forward for Walsall and then Matt Fryatt and Blades keeper Kenny conspired to bring the Bescot Stadium to its feet.
Merson laid off a free-kick to his right and Fryatt launched a stunning right-foot volley from the edge of the penalty area that Kenny tipped over at full-stretch.
Walsall swept forward again and Bradbury went close with a drilled left-footer before Warnock sent on Paul Shaw and Izale McLeod for the tiring Tonge and Gray.
Merson then provided the cross for another Bradbury header that flashed wide and McLeod's right-foot 25-yarder whistled over the crossbar as the game opened up in the final 10 minutes.